New answers tagged stochastic-volatility
0
They should be the same. Compare against this python code, Mathematical Modeling and Computation in Finance
1
Fixing again some typos of yours, we know that in HJM under the risk-neutral measure
$$
f(t, T)=f(0, T)+\int_0^t\left(\sigma(s, T) \int_s^T \sigma(s, u) \,du\right)\,ds+\int_0^t \sigma(s,T)\,dW_t^*
$$
always holds. This implies
$$
h(T-t)+\int_0^tb(s)\,ds=f(0,T)+\int_0^t\left(\sigma(s, T) \int_s^T \sigma(s, u) \,du\right)\,ds\,.
$$
Taking the derivative w.r....
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